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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Target leakage, train–test contamination؟

يُعرف أيضًا باسم: target leakage · train--test contamination

Definition 3.5 Machine Learning for Markets · الفصل 3 — Validation

Target leakage is information in a feature, or in any step of the pipeline, that would not have been available at the decision time the prediction stands for, typically because it was derived from the target or recorded after it. Train–test contamination is information about the test data reaching the fit through the data themselves: overlapping labels or duplicated records on both sides of a split, or statistics computed on the whole sample.

leakleaky Roos2R^2_{\mathrm{oos}}honest versioncaught by
period-end join of the surprise1.27%−0.19%-0.19\% (filing date)truncation test
target encoding, same month8.97%−0.19%-0.19\% (none)canary, truncation test
screening on the whole sample0.13%−0.16%-0.16\% (training months)canary, truncation test
shuffled folds, overlapping labels3.47%−3.37%-3.37\% (purged folds)fold-overlap check
best of 30 seeds on the test−0.27%-0.27\%−0.20%-0.20\% (untouched months)holdout, nested search
Table 3.1. Five leaks in a world where nothing is predictable at decision time (200 stocks, 240 months). Every positive number is fake; the last row’s leak is a gain of 0.13 points over the median seed that does not recur. Screening uses ridge regression on the ten screened features, the others boosted trees. Data: ml_validation.leaks.
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